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Chelyabinskiy Fiziko-Matematicheskiy Zhurnal, 2021, Volume 6, Issue 4, Pages 512–528
DOI: https://doi.org/10.47475/2500-0101-2021-16411 (Mi chfmj265) 		 
This article is cited in 1 scientific paper (total in 1 paper)

Informatics, Computer Science and Control

Yield crop simulation for options pricing

M. M. Dyshaeva, N. E. Ratanova, V. P. Dergilevb, A. A. Lazarevc

a Chelyabinsk State University, Chelyabinsk, Russia
b South Ural Research Institute of Horticulture and Potato Growing, Chelyabinsk, Russia
c LLC "Agrator", Chelyabinsk, Russia
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DOI: https://doi.org/10.47475/2500-0101-2021-16411
Abstract: Mathematical models of yield and options pricing for crop yield have been developed. For this purpose, a one-factor Vasicek equilibrium model was used, describing the evolution of the instant interest rate and the price of a discount zero coupon bond. Based on the options pricing model for discount zero coupon bonds, a model of options pricing on crop yields is obtained. The price of a European call option is based on current weather conditions in the region and takes into account the operations (and their timeliness) that the farmer has performed to increase crop yields.
Keywords: crop yield forecasting, digital twins, Vasicek model, crop yield options pricing.
Funding agency Grant number
Russian Foundation for Basic Research 20-41-740020
Fund for Assistance to Small Innovative Enterprises in the Scientific and Technical Sphere 46ГС1ЦПС9-D2/61769
The work of M. M. D. and N. E. R. was carried out with the financial support of the RFBR and the Chelyabinsk region within the framework of the scientific project no. 20-41-740020. The work of V. P. D. and A. A. L. was carried out with the financial support of the Innovation Assistance Fund within the framework of the project No. 46GS1CPS9-D2/61769.
Received: 29.09.2021
Revised: 03.11.2021
Bibliographic databases:
Document Type: Article
UDC: 51-77+336.763.31+338.43
Language: Russian
Citation: M. M. Dyshaev, N. E. Ratanov, V. P. Dergilev, A. A. Lazarev, “Yield crop simulation for options pricing”, Chelyab. Fiz.-Mat. Zh., 6:4 (2021), 512–528
Citation in format AMSBIB
\Bibitem{DysRatDer21}
\by M.~M.~Dyshaev, N.~E.~Ratanov, V.~P.~Dergilev, A.~A.~Lazarev
\paper Yield crop simulation for options pricing
\jour Chelyab. Fiz.-Mat. Zh.
\yr 2021
\vol 6
\issue 4
\pages 512--528
\mathnet{http://mi.mathnet.ru/chfmj265}
\crossref{https://doi.org/10.47475/2500-0101-2021-16411}
\elib{https://elibrary.ru/item.asp?id=47434039}
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  • https://www.mathnet.ru/eng/chfmj/v6/i4/p512
    • This publication is cited in the following 1 articles:
    Citing articles in Google Scholar: Russian citations, English citations
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    		Chelyabinskiy Fiziko-Matematicheskiy Zhurnal
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